Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0086
Annualized Std Dev 0.0925
Annualized Sharpe (Rf=0%) -0.0929

Row

Daily Return Statistics

Close
Observations 3708.0000
NAs 1.0000
Minimum -0.0337
Quartile 1 -0.0031
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0032
Maximum 0.0422
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0058
Skewness -0.0755
Kurtosis 3.5214

Downside Risk

Close
Semi Deviation 0.0042
Gain Deviation 0.0039
Loss Deviation 0.0041
Downside Deviation (MAR=210%) 0.0101
Downside Deviation (Rf=0%) 0.0042
Downside Deviation (0%) 0.0042
Maximum Drawdown 0.3788
Historical VaR (95%) -0.0092
Historical ES (95%) -0.0136
Modified VaR (95%) -0.0093
Modified ES (95%) -0.0144
From Trough To Depth Length To Trough Recovery
2007-11-08 2020-03-23 NA -0.3788 3364 3113 NA
2006-09-01 2007-02-02 2007-05-07 -0.0705 169 105 64
2007-07-25 2007-08-15 2007-09-12 -0.0393 35 16 19
2006-07-05 2006-07-24 2006-08-25 -0.0275 38 14 24
2007-10-22 2007-10-22 2007-10-25 -0.0152 4 1 3

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA -0.3 -0.2 -0.2 -0.7 -1.3 -0.5 -0.6 -3.8
2007 -0.4 -0.4 0.6 -0.5 0.5 -0.5 0.5 0.4 0 -1 -0.2 -1.4 -2.3
2008 0.7 -0.8 0.1 -1.4 -0.4 -0.4 -0.5 -1 0.2 1 -0.5 0.5 -2.5
2009 -0.3 -1.5 0 0.6 0.1 1.2 0.6 -0.8 -1.2 -1.4 0.9 0.4 -1.4
2010 0.7 1 0.7 -1 -0.2 0.4 0.8 1.4 0.9 0.4 0.9 0.1 6.1
2011 1 -0.3 0.5 0.5 -0.7 0.6 -0.1 0.3 -1.1 -2.2 0.6 0.2 -0.7
2012 0.4 0.3 -0.1 0.2 -0.7 1.4 -0.2 0.7 0 0.2 -0.1 0.4 2.6
2013 0 0.4 -0.1 -0.1 -0.7 0.2 -0.8 0 -0.3 0 -0.3 0.1 -1.4
2014 0.2 0.6 0.2 0 -0.1 0.4 -0.3 -0.2 0.2 -0.8 0.9 -0.2 1.1
2015 -0.8 0.2 0.3 -0.8 -0.7 -0.8 -0.6 -0.5 0.6 0.7 0 0.3 -2
2016 0.6 0.9 -0.2 0 0.4 0 -0.5 0.2 0.2 0.2 0.9 0.6 3.3
2017 -0.3 -0.4 0.2 -0.2 -0.1 0.3 -0.5 0.8 -0.3 0.3 1.6 0 1.4
2018 0.2 0 0.3 -0.2 0 0.9 0 -0.6 0.9 0.6 0 0.1 2.3
2019 0.2 -1.1 0.3 -0.5 -0.2 -0.3 -0.2 0 0.1 0.1 0 0.6 -1
2020 -0.3 -0.3 -1 -1 1.5 -0.1 0.4 -0.3 0.3 -0.1 0.4 0.3 -0.2
2021 -0.6 0.6 0.1 NA NA NA NA NA NA NA NA NA 0.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2006-06-26  89.2 SPY    125.  4.40e-3   0.0107 -0.0215   -0.0387   0.0505    0.282   0.0263 GLD    58.3  0.005     0.0341
2 2006-06-27  89.1 SPY    124. -8.60e-3  -0.0015 -0.0348   -0.0411   0.0399    0.254   0.0121 GLD    57.7 -0.0103    0.0066
3 2006-06-28  89.2 SPY    125.  6.80e-3  -0.0021 -0.0107   -0.0406   0.0383    0.277   0.0075 GLD    57.5 -0.00240  -0.0135
4 2006-06-29  90.1 SPY    127.  2.02e-2   0.0226 -0.0019   -0.0195   0.0621    0.304   0.036  GLD    59.5  0.0344    0.031 
5 2006-06-30  89.8 SPY    127. -3.00e-4   0.0224 -0.0117   -0.02     0.0675    0.291   0.0453 GLD    61.2  0.0287    0.0559
6 2006-07-03  90.3 SPY    128.  4.50e-3   0.0225 -0.00930  -0.0149   0.0692    0.281   0.0514 GLD    62.2  0.0155    0.0669
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart